Nobel Prize

“Hansen made fundamental contributions first by developing an econometric method – the Generalized Method of Moments (GMM), presented in a paper in 1982 – designed to make it possible to deal with the particular features of asset-price data, and then by applying it in a sequence of studies.”

Economic Sciences Prize Committee of the Royal Swedish Academy of Sciences

In 2013, Lars Peter Hansen was a recipient of the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his work advancing understanding of asset prices through empirical analysis. Hansen developed statistical tools and methods that deepen analysis of the connections between financial markets and the macroeconomy. “Economists build models to try to understand risk aversion and how it affects prices. My work tries to understand ways those models work and the ways they don’t,” explained Hansen.

In the 1980s, Hansen became the leading contributor to the development and application of rigorous estimation and testing methods for financial data. His 1982 Econometrica paper, “Large Sample Properties of Generalized-Methods of Moments Estimators,” outlined time series statistical methods that made it possible to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients. Known as GMM, this method fundamentally altered empirical research in finance and macroeconomics.

“When you do analysis of these models, it’s nice to be able to study some things without having to study a full, fleshed out view of all parts of the economy,” Hansen said.

Hansen delivered his Nobel lecture, “Uncertainty Inside and Outside Economic Models,” on December 8, 2013 at Stockholm University. You can view this lecture in the video below.

Uncertainty Inside and Outside Economic Models

View Professor Hansen’s Nobel lecture, which he presented on December 18, 2013